Well I don't like that criteria since it pretty much excludes itself to RPGS.
Personally, I think Starcraft has one of the best worlds. Seeing as its a strategy game (and naturally the single player is quite horribly boring), yet people still played it through just to know the story. That along w/ reading the instruction booklet about all the characters and events, and its continuing evolvement.
Only goes further along once Starcraft: Ghost comes out.